Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0726 |
| Annualized Std Dev | 0.2039 |
| Annualized Sharpe (Rf=0%) | 0.3562 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3420.0000 |
| NAs | 1.0000 |
| Minimum | -0.0954 |
| Quartile 1 | -0.0045 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1258 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0128 |
| Skewness | -0.1168 |
| Kurtosis | 12.0237 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.5677 |
| Historical VaR (95%) | -0.0194 |
| Historical ES (95%) | -0.0321 |
| Modified VaR (95%) | -0.0181 |
| Modified ES (95%) | -0.0222 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-06 | 2013-01-25 | -0.5677 | 1346 | 398 | 948 |
| 2020-02-14 | 2020-03-23 | 2020-08-27 | -0.3628 | 136 | 26 | 110 |
| 2018-09-21 | 2018-12-24 | 2019-07-12 | -0.2113 | 202 | 65 | 137 |
| 2015-05-20 | 2016-02-11 | 2016-11-14 | -0.1691 | 355 | 173 | 182 |
| 2018-01-29 | 2018-04-02 | 2018-09-20 | -0.1062 | 163 | 43 | 120 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.2 | -0.3 | 0.1 | 0 | -0.2 | 0.1 | 1.4 | 1.4 | -2.5 | 1 | -0.9 | -0.2 |
| 2008 | 2 | -2.8 | 3 | 1.5 | -0.1 | -0.2 | 1.5 | 1.2 | -6.1 | 3.7 | 0.5 | 1.2 | 5.1 |
| 2009 | -1.3 | -3.5 | 1.5 | 0.8 | 4.6 | 0.2 | 0.2 | -2 | -1.1 | -1.9 | 1.7 | 0.1 | -0.9 |
| 2010 | 0.5 | 0.6 | 0.3 | -0.2 | -1.7 | -0.8 | -0.2 | 2.1 | 0.1 | -0.4 | 2 | -0.1 | 2.3 |
| 2011 | 1.9 | -1.4 | 0.3 | 0.4 | -1.4 | 1.3 | -0.6 | -0.7 | -2.3 | -2.9 | 0.9 | 0 | -4.6 |
| 2012 | 1.5 | 1.1 | 0.6 | 1.2 | -3.2 | 2.3 | -0.5 | 0.4 | 0.5 | 0.2 | 0.2 | 1 | 5.3 |
| 2013 | 0.7 | -0.4 | -0.6 | -1 | -0.3 | 0.2 | 1.2 | -0.5 | 0 | -0.3 | 0.5 | 0.7 | 0.1 |
| 2014 | -0.5 | 0.1 | 0.7 | -0.4 | 0.2 | 0.8 | 0.1 | 0.1 | -1.5 | 1.3 | -0.8 | -0.4 | -0.3 |
| 2015 | -1.2 | -0.1 | -1.3 | 0.9 | -0.4 | 0.2 | 0 | -3.1 | -0.3 | 0.2 | 0.3 | -1 | -5.6 |
| 2016 | -0.2 | -0.4 | -0.1 | -0.7 | -0.4 | 0.7 | 0.1 | -0.2 | 1.2 | -0.9 | 0 | -0.5 | -1.4 |
| 2017 | 0 | 1.2 | 0.1 | 0.5 | 0.9 | -0.6 | 0.1 | 0.2 | 0.4 | 0 | -0.6 | -0.2 | 2.1 |
| 2018 | -0.1 | -2.1 | 1.3 | -1 | 0.4 | 0.4 | -0.1 | -0.2 | 0.1 | 0.3 | 0.4 | 0.5 | -0.3 |
| 2019 | 0.1 | 0.7 | 1.5 | -0.6 | -1.4 | 0.8 | -1.3 | 0.4 | -1.4 | 1.4 | -0.2 | 0.3 | 0.4 |
| 2020 | -2.2 | -0.3 | -4.4 | -3 | 0.6 | 0.3 | 0.5 | 0.1 | 0.5 | -1.7 | 0.9 | 0.3 | -8.2 |
| 2021 | 1.3 | 2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-23 16.7 SPY 145. -0.0039 -0.0034 0.0094 0.0342 0.124 0.268 0.342 GLD 67.7 0.0085 0.0197
2 2007-02-26 16.7 SPY 145. -0.0009 -0.0038 0.0205 0.0322 0.125 0.269 0.324 GLD 68.1 0.0056 0.0262
3 2007-02-28 16.2 SPY 141. 0.0103 -0.0346 -0.0079 0.0041 0.0886 0.226 0.267 GLD 66.5 0.0164 -0.0119
4 2007-03-01 16.1 SPY 141. -0.003 -0.0367 -0.016 0.0151 0.0958 0.222 0.258 GLD 65.8 -0.0099 -0.0198
5 2007-03-02 16.1 SPY 139. -0.0131 -0.0456 -0.0353 -0.0025 0.0719 0.194 0.248 GLD 63.7 -0.0321 -0.0592
6 2007-03-05 15.8 SPY 137. -0.0095 -0.0539 -0.0502 -0.0222 0.0618 0.189 0.208 GLD 62.9 -0.0122 -0.0759
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
